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Is IPO Underperformance a Peso Problem?
The authors estimate the model under the null of no ex-ante average IPO underperformance and construct small sample distributions of various statistics measuring IPO relative performance. Findings indicate that small sample biases are extremely unlikely to account for the magnitude of the post-1970 IPO underperformance observed in data.
Link
http://papers.nber.org/papers/W12203